@backtest/framework
Version:
Backtesting trading strategies in TypeScript / JavaScript
241 lines • 11.4 kB
JavaScript
;
var __createBinding = (this && this.__createBinding) || (Object.create ? (function(o, m, k, k2) {
if (k2 === undefined) k2 = k;
var desc = Object.getOwnPropertyDescriptor(m, k);
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desc = { enumerable: true, get: function() { return m[k]; } };
}
Object.defineProperty(o, k2, desc);
}) : (function(o, m, k, k2) {
if (k2 === undefined) k2 = k;
o[k2] = m[k];
}));
var __setModuleDefault = (this && this.__setModuleDefault) || (Object.create ? (function(o, v) {
Object.defineProperty(o, "default", { enumerable: true, value: v });
}) : function(o, v) {
o["default"] = v;
});
var __importStar = (this && this.__importStar) || (function () {
var ownKeys = function(o) {
ownKeys = Object.getOwnPropertyNames || function (o) {
var ar = [];
for (var k in o) if (Object.prototype.hasOwnProperty.call(o, k)) ar[ar.length] = k;
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};
return ownKeys(o);
};
return function (mod) {
if (mod && mod.__esModule) return mod;
var result = {};
if (mod != null) for (var k = ownKeys(mod), i = 0; i < k.length; i++) if (k[i] !== "default") __createBinding(result, mod, k[i]);
__setModuleDefault(result, mod);
return result;
};
})();
var __awaiter = (this && this.__awaiter) || function (thisArg, _arguments, P, generator) {
function adopt(value) { return value instanceof P ? value : new P(function (resolve) { resolve(value); }); }
return new (P || (P = Promise))(function (resolve, reject) {
function fulfilled(value) { try { step(generator.next(value)); } catch (e) { reject(e); } }
function rejected(value) { try { step(generator["throw"](value)); } catch (e) { reject(e); } }
function step(result) { result.done ? resolve(result.value) : adopt(result.value).then(fulfilled, rejected); }
step((generator = generator.apply(thisArg, _arguments || [])).next());
});
};
var __rest = (this && this.__rest) || function (s, e) {
var t = {};
for (var p in s) if (Object.prototype.hasOwnProperty.call(s, p) && e.indexOf(p) < 0)
t[p] = s[p];
if (s != null && typeof Object.getOwnPropertySymbols === "function")
for (var i = 0, p = Object.getOwnPropertySymbols(s); i < p.length; i++) {
if (e.indexOf(p[i]) < 0 && Object.prototype.propertyIsEnumerable.call(s, p[i]))
t[p[i]] = s[p[i]];
}
return t;
};
Object.defineProperty(exports, "__esModule", { value: true });
exports.insertCandles = insertCandles;
exports.getAllCandleMetaData = getAllCandleMetaData;
exports.getCandleMetaData = getCandleMetaData;
exports.getCandles = getCandles;
exports.updateCandlesAndMetaCandle = updateCandlesAndMetaCandle;
exports.deleteCandles = deleteCandles;
const client_1 = require("@prisma/client");
const error_1 = require("./error");
const logger = __importStar(require("./logger"));
const prisma = new client_1.PrismaClient({
datasources: {
db: {
url: process.env.DATABASE_URL || 'file:./db/backtest.db'
}
}
});
function insertCandles(metaCandle, candles) {
return __awaiter(this, void 0, void 0, function* () {
try {
yield prisma.metaCandle.create({
data: Object.assign(Object.assign({}, metaCandle), { startTime: BigInt(metaCandle.startTime), endTime: BigInt(metaCandle.endTime), creationTime: BigInt(metaCandle.creationTime), lastUpdatedTime: BigInt(metaCandle.lastUpdatedTime), candles: {
create: candles.map((candle) => {
const { symbol, interval } = candle, c = __rest(candle, ["symbol", "interval"]);
return Object.assign(Object.assign({}, c), { openTime: BigInt(candle.openTime), closeTime: BigInt(candle.closeTime) });
})
} })
});
}
catch (error) {
logger.error(`Problem inserting ${metaCandle.name} into the database`);
logger.error(error);
throw new error_1.BacktestError(`Problem inserting ${metaCandle.name} into the database with error ${error}`, error_1.ErrorCode.Insert);
}
logger.debug(`Successfully inserted ${metaCandle.name}`);
return true;
});
}
function getAllCandleMetaData() {
return __awaiter(this, void 0, void 0, function* () {
try {
const metaCandles = yield prisma.metaCandle.findMany();
const metaCandlesNumber = metaCandles.map((metaCandle) => {
const { id } = metaCandle, rest = __rest(metaCandle, ["id"]);
return Object.assign(Object.assign({}, rest), { startTime: Number(rest.startTime), endTime: Number(rest.endTime), creationTime: Number(rest.creationTime), lastUpdatedTime: Number(rest.lastUpdatedTime) });
});
return metaCandlesNumber;
}
catch (error) {
logger.error(`Problem getting all the candle metaData from database`);
logger.error(error);
throw new error_1.BacktestError(`Problem getting all the candle metaData with error ${error}`, error_1.ErrorCode.Retrieve);
}
});
}
function getCandleMetaData(name) {
return __awaiter(this, void 0, void 0, function* () {
try {
const metaCandles = yield prisma.metaCandle.findMany({
where: {
name: name
}
});
if (!(metaCandles === null || metaCandles === void 0 ? void 0 : metaCandles.length)) {
return null;
}
const metaCandle = metaCandles[0];
const { id } = metaCandle, rest = __rest(metaCandle, ["id"]);
return Object.assign(Object.assign({}, rest), { startTime: Number(rest.startTime), endTime: Number(rest.endTime), creationTime: Number(rest.creationTime), lastUpdatedTime: Number(rest.lastUpdatedTime) });
}
catch (error) {
logger.error(`Problem getting the ${name} metaData from the database`);
logger.error(error);
throw new error_1.BacktestError(`Problem getting the ${name} metaData with error ${error}`, error_1.ErrorCode.Retrieve);
}
});
}
function getCandles(name) {
return __awaiter(this, void 0, void 0, function* () {
try {
const metaCandles = yield prisma.metaCandle.findMany({
where: {
name: name
},
include: {
candles: true
}
});
if (metaCandles.length === 0) {
return null;
}
let candles = [];
let metaCandlesNumber = [];
for (let metaCandle of metaCandles) {
const retrievedCandles = metaCandle.candles.map((candle) => {
const { id, metaCandleId } = candle, rest = __rest(candle, ["id", "metaCandleId"]);
return Object.assign(Object.assign({ symbol: metaCandle.symbol, interval: metaCandle.interval }, rest), { openTime: Number(rest.openTime), closeTime: Number(rest.closeTime) });
});
candles = candles.concat(retrievedCandles);
const { id } = metaCandle, restMetaCandle = __rest(metaCandle, ["id"]);
metaCandlesNumber.push(Object.assign(Object.assign({}, restMetaCandle), { startTime: Number(restMetaCandle.startTime), endTime: Number(restMetaCandle.endTime), creationTime: Number(restMetaCandle.creationTime), lastUpdatedTime: Number(restMetaCandle.lastUpdatedTime) }));
}
candles.sort((a, b) => a.closeTime - b.closeTime);
return { metaCandles: metaCandlesNumber, candles };
}
catch (error) {
logger.error(`Problem getting the ${name} candles from the database`);
logger.error(error);
throw new error_1.BacktestError(`Problem getting the ${name} candles with error ${error}`, error_1.ErrorCode.Retrieve);
}
});
}
function updateCandlesAndMetaCandle(name, newCandles) {
return __awaiter(this, void 0, void 0, function* () {
try {
const existingMetaCandle = yield prisma.metaCandle.findUnique({
where: {
name: name
}
});
if (!existingMetaCandle) {
throw new error_1.BacktestError(`No existing MetaCandle found for ${name}`, error_1.ErrorCode.NotFound);
}
const newStartTime = Math.min(Number(existingMetaCandle.startTime), Number(newCandles[0].closeTime));
const newEndTime = Math.max(Number(existingMetaCandle.endTime), Number(newCandles[newCandles.length - 1].closeTime));
const updateMetaCandle = prisma.metaCandle.update({
where: {
id: existingMetaCandle.id
},
data: {
startTime: BigInt(newStartTime),
endTime: BigInt(newEndTime),
lastUpdatedTime: BigInt(Date.now())
}
});
const createCandles = newCandles.map((candle) => {
const { symbol, interval } = candle, c = __rest(candle, ["symbol", "interval"]);
return prisma.candle.create({
data: Object.assign(Object.assign({}, c), { openTime: BigInt(candle.openTime), closeTime: BigInt(candle.closeTime), metaCandleId: existingMetaCandle.id })
});
});
yield prisma.$transaction([updateMetaCandle, ...createCandles]);
logger.debug(`${newCandles.length} candles updated successfully for ${name}`);
return true;
}
catch (error) {
logger.error(`Problem updating ${name} into the database`);
logger.error(error);
throw new error_1.BacktestError(`Problem updating ${name} candles with error ${error}`, error_1.ErrorCode.Update);
}
});
}
function deleteCandles(name) {
return __awaiter(this, void 0, void 0, function* () {
try {
const metaCandle = yield prisma.metaCandle.findUnique({
where: {
name: name
},
select: {
id: true
}
});
if (!metaCandle) {
throw new error_1.BacktestError(`MetaCandle and Candles for ${name} dont exist`, error_1.ErrorCode.NotFound);
}
yield prisma.candle.deleteMany({
where: {
metaCandleId: metaCandle.id
}
});
yield prisma.metaCandle.delete({
where: {
id: metaCandle.id
}
});
logger.debug(`Successfully deleted ${name} candles`);
return true;
}
catch (error) {
logger.error(`Problem deleting ${name} candels from the database`);
logger.error(error);
throw new error_1.BacktestError(`Error deleting MetaCandle and Candles for ${name} with error ${error}`, error_1.ErrorCode.Delete);
}
});
}
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